EX-99.1 2 ex_605924.htm EXHIBIT 99.1 ex_605924.htm

 

 

ORCHID ISLAND CAPITAL ANNOUNCES

DECEMBER 2023 MONTHLY DIVIDEND AND

NOVEMBER 30, 2023 RMBS PORTFOLIO CHARACTERISTICS

 

 

December 2023 Monthly Dividend of $0.12 Per Share of Common Stock

 

RMBS Portfolio Characteristics as of November 30, 2023

 

Next Dividend Announcement Expected January 10, 2023 

 

Vero Beach, Fla., December 12, 2023 - Orchid Island Capital, Inc. (the “Company”) (NYSE: ORC) announced today that the Board of Directors of the Company declared a monthly cash dividend for the month of December 2023. The dividend of $0.12 per share will be paid January 29, 2024 to holders of record of the Company’s common stock on December 29, 2023, with an ex-dividend date of December 28, 2023. The Company plans on announcing its next common stock dividend on January 10, 2023.

 

The Company intends to make regular monthly cash distributions to its holders of common stock. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.

 

As of December 12, 2023, November 30, 2023 and September 30, 2023, the Company had 51,826,306 shares of common stock outstanding.

 

RMBS Portfolio Characteristics

 

Details of the RMBS portfolio as of November 30, 2023 are presented below. These figures are preliminary and subject to change. The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:

 

 

RMBS Valuation Characteristics

 

RMBS Assets by Agency

 

Investment Company Act of 1940 (Whole Pool) Test Results

 

Repurchase Agreement Exposure by Counterparty

 

RMBS Risk Measures

 

About Orchid Island Capital, Inc.

 

Orchid Island Capital, Inc. is a specialty finance company that invests on a leveraged basis in Agency RMBS. Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates and collateralized mortgage obligations issued by Fannie Mae, Freddie Mac or Ginnie Mae, and (ii) structured Agency RMBS. The Company is managed by Bimini Advisors, LLC, a registered investment adviser with the Securities and Exchange Commission.

 

Forward-Looking Statements

 

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Annual Report on Form 10-K for the fiscal year ended December 31, 2022.

 

 

 

RMBS Valuation Characteristics

 

($ in thousands)

                                                                                           
                                                                         

Realized

             
                                                                   

Realized

   

Sep-23 -

             
                                                                    Nov-23     Nov-23              
                                   

Net

                   

Weighted

   

CPR

   

CPR

             
                                    Weighted                     Average     (1-Month)     (3-Month)     Modeled Interest  
   

Current

   

Fair

   

% of

   

Current

   

Average

                   

Maturity

   

(Reported

   

(Reported

   

Rate Sensitivity (1)

 

Type

 

Face

   

Value

   

Portfolio

   

Price

   

Coupon

   

GWAC

   

Age

   

(Months)

   

in Nov)

   

in Nov)

   

(-50 BPS)

   

(+50 BPS)

 

Fixed Rate RMBS

                                                                                               

30yr 3.0

    1,406,249       1,203,702       31.79 %     85.60       3.00 %     3.46 %     32       323       4.9 %     5.3 %     38,823       (39,097 )

30yr 3.5

    195,791       175,349       4.63 %     89.56       3.50 %     4.03 %     45       305       6.9 %     7.6 %     5,077       (5,121 )

30yr 4.0

    563,852       514,047       13.58 %     91.17       4.00 %     4.78 %     22       335       1.9 %     3.6 %     13,964       (14,805 )

30yr 4.5

    342,843       322,187       8.51 %     93.98       4.50 %     5.45 %     17       341       3.8 %     6.4 %     7,113       (7,775 )

30yr 5.0

    554,623       534,920       14.13 %     96.45       5.00 %     5.93 %     15       343       2.9 %     4.4 %     11,222       (12,489 )

30yr 5.5

    272,801       270,165       7.14 %     99.03       5.50 %     6.43 %     8       351       4.6 %     4.7 %     4,970       (5,727 )

30yr 6.0

    324,715       326,518       8.62 %     100.56       6.00 %     7.00 %     8       347       10.1 %     10.9 %     4,559       (5,480 )

30yr 6.5

    337,358       343,696       9.08 %     101.88       6.50 %     7.39 %     4       353       5.4 %     10.8 %     3,584       (4,571 )

30yr 7.0

    75,411       77,635       2.05 %     102.95       7.00 %     7.94 %     2       358       10.0 %     n/a       667       (852 )

Total Pass Through RMBS

    4,073,643       3,768,219       99.52 %     92.50       4.33 %     5.06 %     21       335       4.8 %     6.0 %     89,979       (95,917 )

Structured RMBS

                                                                                               

IO 20yr 4.0

    8,934       942       0.02 %     10.54       4.00 %     4.57 %     143       90       9.5 %     8.8 %     5       (4 )

IO 30yr 3.0

    2,973       360       0.01 %     12.10       3.00 %     3.64 %     106       243       0.9 %     0.8 %     -       (1 )

IO 30yr 4.0

    82,108       15,515       0.41 %     18.90       4.00 %     4.60 %     111       240       5.2 %     5.7 %     (216 )     151  

IO 30yr 4.5

    3,511       666       0.02 %     18.97       4.50 %     4.99 %     161       186       3.3 %     6.9 %     (2 )     -  

IO 30yr 5.0

    1,903       385       0.01 %     20.26       5.00 %     5.36 %     161       187       1.0 %     8.4 %     (4 )     2  

IO Total

    99,429       17,868       0.47 %     17.97       4.01 %     4.60 %     117       224       5.3 %     5.9 %     (217 )     148  

IIO 30yr 4.0

    27,472       289       0.01 %     1.05       0.00 %     4.40 %     74       275       11.2 %     9.8 %     88       (73 )

Total Structured RMBS

    126,901       18,157       0.48 %     14.31       3.14 %     4.55 %     107       235       6.6 %     6.8 %     (129 )     75  
                                                                                                 

Total Mortgage Assets

  $ 4,200,544     $ 3,786,376       100.00 %             4.30 %     5.05 %     24       332       4.8 %     6.1 %   $ 89,850     $ (95,842 )

 

   

Average

 

Hedge

 

Modeled Interest

 
   

Notional

 

Period

 

Rate Sensitivity (1)

 

Hedge

 

Balance

 

End

 

(-50 BPS)

   

(+50 BPS)

 

5-Year Treasury Future(2)

  $ (471,500 )

Mar-24

  $ (9,696 )   $ 9,475  

10-Year Treasury Future(3)

    (470,000 )

Mar-24

    (14,740 )     14,083  

Swaps

    (2,326,500 )

Nov-29

    (58,280 )     56,177  

TBA

    (620,700 )

Jan-24

    (17,657 )     18,176  

Swaptions

    (800,000 )

Nov-24

    (533 )     1,022  

Hedge Total

  $ (4,688,700 )     $ (100,906 )   $ 98,933  

Rate Shock Grand Total

            $ (11,056 )   $ 3,091  

 

(1)

Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.

(2)

Five-year Treasury futures contracts were valued at prices of $106.85 at November 30, 2023. The market value of the short position was $503.8 million.

(3) Ten-year Treasury futures contracts were valued at prices of $109.80 at November 30, 2023. The market value of the short position was $516.1 million.

 

 

 

 

RMBS Assets by Agency

               

($ in thousands)

               
           

Percentage

 
   

Fair

   

of

 

Asset Category

 

Value

   

Portfolio

 

As of November 30, 2023

               

Fannie Mae

  $ 2,639,012       69.7 %

Freddie Mac

    1,147,364       30.3 %

Total Mortgage Assets

  $ 3,786,376       100.0 %

 

 

Investment Company Act of 1940 Whole Pool Test

 

($ in thousands)

               
           

Percentage

 
   

Fair

   

of

 

Asset Category

 

Value

   

Portfolio

 

As of November 30, 2023

               

Non-Whole Pool Assets

  $ 140,129       3.7 %

Whole Pool Assets

    3,646,247       96.3 %

Total Mortgage Assets

  $ 3,786,376       100.0 %

 

Borrowings By Counterparty

                                 

($ in thousands)

                                 
                   

Weighted

   

Weighted

   
           

% of

   

Average

   

Average

   
   

Total

   

Total

   

Repo

   

Maturity

 

Longest

As of November 30, 2023

 

Borrowings

   

Debt

   

Rate

   

in Days

 

Maturity

Cantor Fitzgerald & Co

  $ 298,439       8.3 %    

5.47%

      14  

12/15/2023

RBC Capital Markets, LLC

    291,389       8.1 %    

5.48%

      14  

12/15/2023

Citigroup Global Markets Inc

    289,160       8.0 %    

5.47%

      26  

12/26/2023

ASL Capital Markets Inc.

    285,076       7.9 %    

5.46%

      19  

12/29/2023

Mitsubishi UFJ Securities (USA), Inc

    276,607       7.7 %    

5.52%

      22  

12/29/2023

J.P. Morgan Securities LLC

    256,809       7.1 %    

5.48%

      18  

12/18/2023

Wells Fargo Bank, N.A.

    216,952       6.0 %    

5.48%

      27  

12/27/2023

Mirae Asset Securities (USA) Inc.

    194,537       5.4 %    

5.48%

      15  

12/22/2023

Merrill Lynch, Pierce, Fenner & Smith

    187,386       5.2 %    

5.48%

      14  

12/26/2023

Daiwa Securities America Inc.

    173,199       4.8 %    

5.47%

      18  

12/18/2023

Bank of Montreal

    166,801       4.6 %    

5.47%

      13  

12/13/2023

StoneX Financial Inc.

    165,081       4.6 %    

5.53%

      14  

12/15/2023

Goldman, Sachs & Co

    158,445       4.4 %    

5.48%

      17  

12/27/2023

Banco Santander SA

    148,771       4.1 %    

5.48%

      20  

12/22/2023

ABN AMRO Bank N.V.

    127,077       3.5 %    

5.47%

      14  

12/14/2023

ING Financial Markets LLC

    126,856       3.5 %    

5.48%

      14  

12/14/2023

Marex Capital Markets Inc.

    111,043       3.1 %    

5.47%

      8  

12/13/2023

South Street Securities, LLC

    78,402       2.2 %    

5.47%

      29  

12/29/2023

DV Securities, LLC Repo

    40,010       1.1 %    

5.48%

      22  

12/29/2023

Lucid Cash Fund USG LLC

    9,845       0.3 %    

5.47%

      14  

12/14/2023

Lucid Prime Fund, LLC

    8,019       0.2 %    

5.47%

      14  

12/14/2023

Total Borrowings

  $ 3,609,904       100.0 %    

5.48%

      18  

12/29/2023

 

 

Contact:

 

Orchid Island Capital, Inc.

Robert E. Cauley

3305 Flamingo Drive, Vero Beach, Florida 32963

Telephone: (772) 231-1400